Wereldhave NV ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Tuesday, October 27th, 2026
1 Day
6,231.16
1 Week
6,501.16
1 Month
6,782.47
Analysis last updated: Tuesday, October 27, 2026 at 09:14 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 1, 1990 to Oct 23, 2026Model Insight
This asset shows asymmetric liquidity dynamics: illiquidity rises 90% more after negative returns than after positive returns of equal magnitude. This multi-frequency model splits illiquidity into a fast short-run component and a slow-moving long-run level that drifts over the sample rather than a constant baseline.
ILLIQ-MFMEM Model
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 31 | |
| αARCH | 0.1237 | 10.55*** |
| βGARCH | 0.7553 | 28.15*** |
| γleverage | 0.1116 | 5.59*** |
| λ₁tau intercept | 10.0000 | 1.22 |
| λ₂forecast adj. | 0.0858 | 4.50*** |
| λ₃tau persistence | 0.9142 | 47.00*** |
0.935
Persistence10d
Half-lifeILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 31 | |
α ARCH Response to squared shocks | 0.1237 | 10.55*** |
β GARCH Volatility persistence | 0.7553 | 28.15*** |
γ leverage Additional response to negative shocks | 0.1116 | 5.59*** |
λ₁ tau intercept Baseline long-term coefficient | 10.0000 | 1.22 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0858 | 4.50*** |
λ₃ tau persistence Long-term factor persistence | 0.9142 | 47.00*** |
Persistence:
0.935
Half-life:
10 days
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